Dynamic spillovers and network structure among commodity, currency, and stock markets

Juan Reboredo, Andrea Ugolini and Jose Arreola Hernandez

Resources Policy, 2021, vol. 74, issue C

Abstract: This paper examines connectedness spillovers among three blocks of markets: commodities (agriculture, industrial metals, precious metals, energy, and livestock), currencies (EUR, GBP, CHF, JPY, AUD, CAD) and six major stock markets. At the aggregate level, we find that stock markets transmit the largest spillovers to the commodity and currency markets, while the commodity markets receive the largest spillovers from the other two markets. Stocks spill over more strongly on commodities than on currencies, commodities more on currencies than on stocks, and currencies more on commodities than on stocks, while stocks receive the smallest spillovers from the commodity and currency markets. At a more specific level, the currencies transmit/receive the largest spillovers to/from industrial metals and precious metals, and EUR and JPY are the largest and smallest transmitters/receivers of spillovers to/from the other currencies, respectively. The commodities transmit/receive the largest spillovers to/from the FTSE UK and TSX CA stock markets, the TOPIX JP and ASX AU transmit the smallest spillovers to the commodities, and currencies transmit/receive the largest spillovers to/from the S&P500 US and the TSX CA markets. These results may be useful to international investors for diversification purposes, risk management, and asset portfolio hedging.

Keywords: Currencies; Commodities; Stock markets; Spillovers (search for similar items in EconPapers)
JEL-codes: C58 D85 F36 G11 G21 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721002774

DOI: 10.1016/j.resourpol.2021.102266

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